There are two separate issues here.
Firstly, am I right is assuming that you are compiling a
merged help project (i.e.multiple CHMs)? If so, all the CHMs must
be located in the same directory if they are to appear in the TOC.
Secondly, CHMs are designed to be located on a hard drive. If
you open a CHM located on a network drive you get the problem you
state. This is explained
here
together with details of how to avoid the situation.